Brazil
http://www.josefajardo.com
Getulio Vargas Foundation
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Fractional Brownian Motion, Derivative Pricing, Hurst exponent
Generalized Hyperbolic, Value at Risk
Contingent Convertibles, Credit Risk, Structural Approach, First Passage Times
Generalized Hyperbolic Distributions, Derivatives Pricing, Fat Tails, Fast Fourier Transformation
Hyperinflation, Investments, Household Behavior
Economic growth, inflation, industrial production.
Goodness-of-Fit, Conditional Value at Risk, Risk Management
Continget Convertible, Debt, Financial Distress, Bail-In
Value-at-Risk, Distance, Goodness-of-fit
Skewness, Lévy processes, Implied volatility smirk
Contingent convertibles, extension rsk, call date
Barrier contracts, Lévy processes,S ymmetry
Systemic Risk, CoCo Bonds, Crisis
Wellness, Depression, Social Interaction, Investments
Skewness, Lévy Processes, Implied Volatility Smirk.
Risk-Neutral Densities, Relative Risk Aversion, Currency Options
Expected Utility, Prospect Theory, Risk Aversion, Law invariant preferences, Growth Optimal Portfolio, Portfolio Numeraire
Common Agency, Menu Games, Sequential Equilibrium
Hybrid bonds, Convertible bonds, CoCo bonds, call provision, sequential finance.
Insider trading, Law Penalties, Social Welfare
Kyle Model, Market Microstructure, Equilibrium, Insider Trading, Stochastic Control, Semimartingales, Enlargement of Filtrations
Bitcoin, Cryptocurrency, Jumps, Generalized Hyperbolic Distributions
Skewness, Lévy processes, Barrier contracts, Asymmetry
Default, Enforcement Mechanism, Bad Arbitrage, Uncertain deliveries
Skewness, Lévy processes, Absence of symmetry, Power contracts
